{smcl}
{com}{sf}{ul off}{txt}{.-}
      name:  {res}<unnamed>
       {txt}log:  {res}C:\Users\myogo\Princeton Dropbox\Motohiro Yogo\Koijen Yogo - International\JPE\Replication\Code\6 Valuation\Tables0.smcl
  {txt}log type:  {res}smcl
 {txt}opened on:  {res} 1 Nov 2025, 02:29:30
{txt}
{com}. /* Define local and global variables */
> 
> local path = "../../figures";
{txt}
{com}. /* Load data */
> 
> u year counter_euro type Ctype market yield* DLfx* DLmb* Dyield* DEret*
>         if ((counter_euro!="USA" & type==1) | (counter_euro=="USA" & type!=1)) & type==Ctype
>         using Valuation0, clear;
{txt}
{com}. /* Aggregate across exchange rates */
> 
> collapse (mean) yield* DLfx* DLmb* Dyield* DEret* [aw=market], by(year type) fast;
{res}{txt}
{com}. /* Report in percent */
> 
> foreach var of varlist yield* DLfx* DLmb* Dyield* DEret* {c -(};
{txt}  2{com}.         replace `var' = 100*`var';
{txt}  3{com}. {c )-};
{txt}(36 real changes made)
(36 real changes made)
(36 real changes made)
(36 real changes made)
(36 real changes made)
(36 real changes made)
(36 real changes made)
(36 real changes made)
(18 real changes made)
(18 real changes made)
(18 real changes made)
(18 real changes made)
(18 real changes made)
(18 real changes made)
(18 real changes made)
(36 real changes made)
(36 real changes made)
(36 real changes made)
(36 real changes made)
(36 real changes made)
(36 real changes made)
(36 real changes made)
(36 real changes made)
(36 real changes made)
(18 real changes made)
(18 real changes made)
(18 real changes made)
(18 real changes made)
(18 real changes made)
(54 real changes made)
(54 real changes made)
(54 real changes made)
(54 real changes made)
(54 real changes made)
(54 real changes made)
(54 real changes made)

{com}. /* Table: Mean convenience yield */
> 
> tabstat DLfx* if type==1, s(mean semean) format(%9.2f);

{txt}   Stats {...}
{c |}{...}
      DLfx     DLfx1     DLfx2     DLfx3     DLfx4     DLfx5     DLfx6
{hline 9}{c +}{hline 70}
{ralign 8:Mean} {...}
{c |}{...}
 {res}     5.23      3.41      0.06      0.84      0.52      0.13      0.26
{txt}{ralign 8:se(mean)} {...}
{c |}{...}
 {res}     0.56      0.43      0.01      0.09      0.07      0.02      0.03
{txt}{hline 9}{c BT}{hline 70}

{com}. tabstat Dyield* if type==2, s(mean semean) format(%9.2f);

{txt}   Stats {...}
{c |}{...}
    Dyield   Dyield1   Dyield2   Dyield3   Dyield4   Dyield5   Dyield6
{hline 9}{c +}{hline 70}
{ralign 8:Mean} {...}
{c |}{...}
 {res}     0.73      0.28      0.01      0.21      0.20      0.01      0.01
{txt}{ralign 8:se(mean)} {...}
{c |}{...}
 {res}     0.09      0.03      0.00      0.03      0.03      0.00      0.00
{txt}{hline 9}{c BT}{hline 70}

{com}. tabstat DLmb* if type==3, s(mean semean) format(%9.2f);

{txt}   Stats {...}
{c |}{...}
      DLmb     DLmb1     DLmb2     DLmb3     DLmb4     DLmb5     DLmb6
{hline 9}{c +}{hline 70}
{ralign 8:Mean} {...}
{c |}{...}
 {res}    -3.35     -0.08     -0.37     -1.75     -0.87     -0.16     -0.12
{txt}{ralign 8:se(mean)} {...}
{c |}{...}
 {res}     0.39      0.02      0.04      0.20      0.10      0.04      0.02
{txt}{hline 9}{c BT}{hline 70}

{com}. tabstat DEret*, by(type) s(mean semean) format(%9.2f) not;

{txt}Summary statistics: Mean, se(mean)
Group variable: type (Asset type)

{ralign 15:type} {...}
{c |}{...}
     DEret    DEret1    DEret2    DEret3    DEret4    DEret5    DEret6
{hline 16}{c +}{hline 70}
{ralign 15:Short-term debt} {...}
{c |}{...}
 {res}    -1.41     -0.92     -0.02     -0.23     -0.14     -0.04     -0.07
{txt}{space 15} {...}
{c |}{...}
 {res}     0.15      0.12      0.00      0.02      0.02      0.00      0.01
{txt}{hline 16}{c +}{hline 70}
{ralign 15:Long-term debt} {...}
{c |}{...}
 {res}     2.71      1.03      0.05      0.80      0.73      0.05      0.05
{txt}{space 15} {...}
{c |}{...}
 {res}     0.35      0.13      0.00      0.11      0.10      0.01      0.01
{txt}{hline 16}{c +}{hline 70}
{ralign 15:Equity} {...}
{c |}{...}
 {res}     0.50      0.01      0.05      0.26      0.13      0.02      0.02
{txt}{space 15} {...}
{c |}{...}
 {res}     0.06      0.00      0.01      0.03      0.01      0.01      0.00
{txt}{hline 16}{c BT}{hline 70}

{com}. /* Label variables */
> 
> label var yield         "Long-term yield";
{txt}
{com}. label var yield6        "Convenience yield";
{txt}
{com}. /* Figure: Convenience yield on long-term debt */
> 
> twoway bar yield6 yield year if type==2, color(gs8 gs4)
>         ylabel(0(1)6, angle(0))
>         tlabel(2004(4)2020)
>         ytitle("Yield (%)")
>         legend(pos(1) ring(0) col(1));
{res}{txt}
{com}. /* Output figure */
> 
> graph export "`path'/convenience.eps", replace;
{txt}{p 0 4 2}
(file {bf}
../../figures/convenience.eps{rm}
not found)
{p_end}
{p 0 4 2}
file {bf}
../../figures/convenience.eps{rm}
saved as
EPS
format
{p_end}

{com}. sort year;
{txt}
{com}. l year yield yield6 Dyield if type==2;
{txt}
     {c TLC}{hline 6}{c -}{hline 11}{c -}{hline 11}{c -}{hline 11}{c TRC}
     {c |} {res}year       yield      yield6      Dyield {txt}{c |}
     {c LT}{hline 6}{c -}{hline 11}{c -}{hline 11}{c -}{hline 11}{c RT}
  2. {c |} {res}2003   4.1017817   5.4483619   1.3465802 {txt}{c |}
  5. {c |} {res}2004   4.1029543   5.3451351   1.2421808 {txt}{c |}
  8. {c |} {res}2005   4.3038101   5.3495005   1.0456904 {txt}{c |}
 11. {c |} {res}2006   4.6083353   5.6188878   1.0105525 {txt}{c |}
 14. {c |} {res}2007   3.9673447   4.9872329   1.0198882 {txt}{c |}
     {c LT}{hline 6}{c -}{hline 11}{c -}{hline 11}{c -}{hline 11}{c RT}
 17. {c |} {res}2008   2.1825285   3.3293221   1.1467936 {txt}{c |}
 20. {c |} {res}2009   3.6924948   4.5863691   .89387431 {txt}{c |}
 23. {c |} {res}2010   3.1729885   3.9987806   .82579217 {txt}{c |}
 26. {c |} {res}2011   1.8297094   3.0204587   1.1907493 {txt}{c |}
 29. {c |} {res}2012   1.7076624   2.2706542   .56299183 {txt}{c |}
     {c LT}{hline 6}{c -}{hline 11}{c -}{hline 11}{c -}{hline 11}{c RT}
 32. {c |} {res}2013   2.9033698   3.1198597   .21648993 {txt}{c |}
 35. {c |} {res}2014   2.1014892   2.3729452   .27145596 {txt}{c |}
 38. {c |} {res}2015   2.2150287   2.7542386   .53920986 {txt}{c |}
 41. {c |} {res}2016   2.3718685   2.9911548   .61928628 {txt}{c |}
 44. {c |} {res}2017   2.3678104   2.7166436   .34883318 {txt}{c |}
     {c LT}{hline 6}{c -}{hline 11}{c -}{hline 11}{c -}{hline 11}{c RT}
 47. {c |} {res}2018   2.6593552   3.1237553   .46440006 {txt}{c |}
 50. {c |} {res}2019   1.8922186   1.9152367   .02301804 {txt}{c |}
 53. {c |} {res}2020   .89019789   1.2705208   .38032293 {txt}{c |}
     {c BLC}{hline 6}{c -}{hline 11}{c -}{hline 11}{c -}{hline 11}{c BRC}

{com}. log close;
      {txt}name:  {res}<unnamed>
       {txt}log:  {res}C:\Users\myogo\Princeton Dropbox\Motohiro Yogo\Koijen Yogo - International\JPE\Replication\Code\6 Valuation\Tables0.smcl
  {txt}log type:  {res}smcl
 {txt}closed on:  {res} 1 Nov 2025, 02:29:34
{txt}{.-}
{smcl}
{txt}{sf}{ul off}